Data-driven robust optimization

DOI10.1007/s10107-017-1125-8zbMath1397.90298arXiv1401.0212OpenAlexW1542523037WikidataQ85016613 ScholiaQ85016613MaRDI QIDQ1702776

Nathan Kallus, Vishal Gupta, Dimitris J. Bertsimas

Publication date: 28 February 2018

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.0212

zbMATH Keywords

hypothesis testingconvex setrobust optimizationuncertainty setdata-driven optimizationprobabilistic guarantee

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Convex programming (90C25) Approximations to statistical distributions (nonasymptotic) (62E17)

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Uses Software

• bootstrap

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